Education

Research Interests

I specialize in applied mathematics, probability and statistics. Most of my research of the last 10-15 years involves applications of mathematics and statistics to financial markets, derivatives, portfolio management and risk management. (Before that, I worked in applied physics). My work gets published in specialized journals such as Quantitative Finance, Risk Magazine, International Journal of Theoretical and Applied Finance, and other publications read by practitioners as well as theoreticians. I was named “Quant of the Year 2010” by Risk Magazine, for an article on hard-to-borrow stocks and their effect on equity options pricing.

I am not only interested in mathematics inspired by finance. I am interested in using theory to change the way financial markets operate and to improve the quality of financial institutions in a broad sense.